Anomalies and News
Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several...
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| Veröffentlicht in: | The Journal of finance (New York) 2018-10, Vol.73 (5), p.1971-2001 |
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| Sprache: | eng |
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| container_end_page | 2001 |
|---|---|
| container_issue | 5 |
| container_start_page | 1971 |
| container_title | The Journal of finance (New York) |
| container_volume | 73 |
| creator | ENGELBERG, JOSEPH MCLEAN, R. DAVID PONTIFF, JEFFREY |
| description | Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly corrected upon news arrival. |
| doi_str_mv | 10.1111/jofi.12718 |
| format | Article |
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DAVID</au><au>PONTIFF, JEFFREY</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Anomalies and News</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2018-10-01</date><risdate>2018</risdate><volume>73</volume><issue>5</issue><spage>1971</spage><epage>2001</epage><pages>1971-2001</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><abstract>Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. 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| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2018-10, Vol.73 (5), p.1971-2001 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_journals_2121641981 |
| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Bias Data mining Earnings Earnings announcements News Rates of return |
| title | Anomalies and News |
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